Spot Regressions with Candlesticks (opens in new tab)

arXiv:2510.12911v2 Announce Type: replace-cross Abstract: Betas from spot regressions are central to asset pricing and risk management, as measures of systematic risk. This paper develops a new estimation and inference framework for spot regressions by leveraging high-frequency candlesticks, extending conventional (open-to-close) returns with intra-period high/low prices. Specifically, I construct candlestick-based estimators of regression parameters, including spot beta, by minimizing a quad...